Measuring fund performance using multi-factor models: evidence for the Portuguese market

This paper examines the performance of Portuguese equity funds investing in the domestic and in the European Union market, using several unconditional and conditional multi-factor models. In terms of overall performance, we find that National funds are neutral performers, while European Union funds under-perform the market significantly. These results do not seem to be a consequence of management fees. Overall, our findings are supportive of the robustness of conditional multi-factor models. In fact, Portuguese equity funds seem to be relatively more exposed to smallcaps and more value-oriented. Also, they present strong evidence of time-varying betas and, in the case of the European Union funds, of time-varying alphas too. Finally, in terms of market timing, our tests suggest that mutual fund managers in our sample do not exhibit any market timing abilities. Nevertheless, we find some evidence of timevarying conditional market timing abilities but only at the individual fund level.

Style and performance of international socially responsible funds in Europe

This paper analyses the performance and investment styles of internationally oriented Socially Responsible Investment (SRI)funds, domiciled in eight European markets, in comparison with characteristics-matched conventional funds. To the best of our knowledge, this is the first multi-country study, focused on international SRI funds (investing in Global and in European equities), to combine the matched-pairs approach with the use of robust conditional multi-factor performance evaluation models, which allow for both time-varying alphas and betas and also control for home biases and spurious regression biases.In general, the results show that differences in the performance of international SRI funds and their conventional peers are not statistically significant. Regarding investment styles, SRI and conventional funds exhibit similar factor exposures in most cases. In addition,conventional benchmarks present a higher explaining power of SRI fund returns than SRI benchmarks. Our results also show significant differences in the investment styles of SRI funds according to whether they use “best-in-class” screening strategies or not. When compared to SRI funds that employ simple negative and/or positive screens, SRI “best-in-class” funds present significantly lower exposures to small caps and momentum strategies and significantly higher exposures to local stocks.

Bond Fund Performance During Recessions and Expansions: Empirical Evidence from a Small Market

This paper provides the first investigation about bond mutual fund performance during recession and expansion periods separately. Based on multi-factor performance evaluation models, results show that bond funds significantly underperform the market during both phases of the business cycle. Nevertheless, unlike equity funds, bond funds exhibit considerably higher alphas during good economic states than during market downturns. These results, however, seem entirely driven by the global financial crisis subperiod. In contrast, during the recession associated to the Euro sovereign debt crisis, bond funds are able to accomplish neutral performance. This improved performance throughout the debt crisis seems to be related to more conservative investment strategies, which reflect an increase in managers’ risk aversion.

Multi-scale modeling of the mechanical behavior of polymer-based materials

Polymers have become the reference material for high reliability and performance applications. In this work, a multi-scale approach is proposed to investigate the mechanical properties of polymeric based material under strain. To achieve a better understanding of phenomena occurring at the smaller scales, a coupling of a Finite Element Method (FEM) and Molecular Dynamics (MD) modeling in an iterative procedure was employed, enabling the prediction of the macroscopic constitutive response. As the mechanical response can be related to the local microstructure, which in turn depends on the nano-scale structure, the previous described multi-scale method computes the stress-strain relationship at every analysis point of the macro-structure by detailed modeling of the underlying micro- and meso-scale deformation phenomena. The proposed multi-scale approach can enable prediction of properties at the macroscale while taking into consideration phenomena that occur at the mesoscale, thus offering an increased potential accuracy compared to traditional methods.

Coupling Mechanical and Electrical Behavior in the Multi-scale Simulation of Polymer-based CNT Nanocomposites

A numeric model has been proposed to investigate the mechanical and electrical properties of a polymeric/carbon nanotube (CNT) composite material subjected to a deformation force. The reinforcing phase affects the behavior of the polymeric matrix and depends on the nanofiber aspect ratio and preferential orientation. The simulations show that the mechanical behavior of a computer generated material (CGM) depends on fiber length and initial orientation in the polymeric matrix. It is also shown how the conductivity of the polymer/CNT composite can be calculated for each time step of applied stress, effectively providing the ability to simulate and predict strain-dependent electrical behavior of CNT nanocomposites.

An SPSS R-Menu for Ordinal Factor Analysis

Exploratory factor analysis is a widely used statistical technique in the social sciences. It attempts to identify underlying factors that explain the pattern of correlations within a set of observed variables. A statistical software package is needed to perform the calcula- tions. However, there are some limitations with popular statistical software packages, like SPSS. The R programming language is a free software package for statistical and graphical computing. It o ers many packages written by contributors from all over the world and programming resources that allow it to overcome the dialog limitations of SPSS. This paper o ers an SPSS dialog written in the R programming language with the help of some packages, so that researchers with little or no knowledge in programming, or those who are accustomed to making their calculations based on statistical dialogs, have more options when applying factor analysis to their data and hence can adopt a better approach when dealing with ordinal, Likert-type data.

Integration of Individualized Management Systems (MSs) as an Aggregating Factor of Sustainable Value for Organizations: An Overview Through a Review of the Literature

Nowadays, there exist various standards for individual management systems (MSs), at least, one for each stakeholder. New ones will be published. An integrated management system (IMS) aims to integrate some or all components of the business into one coherent and efficient MS. Maximizing integration is more and more a strategic priority in that it constitutes an opportunity to eliminate and/or reduce potential factors of destruction of value for the organizations and also to be more competitive and consequently promote its sustainable success. A preliminary investigation was conducted on a Portuguese industrial company which, over the years, has been adopting gradually, in whole or in part, individualized management system standards (MSSs). A research, through a questionnaire, was performed with the objective to develop, in a real business environment, an adequate and efficient IMS-QES (quality, environment, and safety) model and to potentiate for the future a generic IMS model to integrate other MSSs. The strategy and research methods have taken into consideration the case study. It was obtained a set of relevant conclusions resulting from the statistical analyses of the responses to the survey. Globally, the investigation results, by themselves, justified and prioritized the conception of a model of development of the IMS-QES and consequent definition and validation of a structure of an IMS-QES model, to be implemented at the small- and medium-sized enterprise (SME) where the investigation was conducted.

Predicting the mechanical behavior of amorphous polymeric materials under strain through multi-scale simulation

Polymeric materials have become the reference material for high reliability and performance applications. However, their performance in service conditions is difficult to predict, due in large part to their inherent complex morphology, which leads to non-linear and anisotropic behavior, highly dependent on the thermomechanical environment under which it is processed. In this work, a multiscale approach is proposed to investigate the mechanical properties of polymeric-based material under strain. To achieve a better understanding of phenomena occurring at the smaller scales, the coupling of a finite element method (FEM) and molecular dynamics (MD) modeling, in an iterative procedure, was employed, enabling the prediction of the macroscopic constitutive response. As the mechanical response can be related to the local microstructure, which in turn depends on the nano-scale structure, this multiscale approach computes the stress-strain relationship at every analysis point of the macro-structure by detailed modeling of the underlying micro- and meso-scale deformation phenomena. The proposed multiscale approach can enable prediction of properties at the macroscale while taking into consideration phenomena that occur at the mesoscale, thus offering an increased potential accuracy compared to traditional methods.

Multi-centre validation of an automatic algorithm for fast 4D myocardial segmentation in cine CMR datasets

Quantitative analysis of cine cardiac magnetic resonance (CMR) images for the assessment of global left ventricular morphology and function remains a routine task in clinical cardiology practice. To date, this process requires user interaction and therefore prolongs the examination (i.e. cost) and introduces observer variability. In this study, we sought to validate the feasibility, accuracy, and time efficiency of a novel framework for automatic quantification of left ventricular global function in a clinical setting.